Equilibrium Pricing And Optimal Hedging in Electricity Forward Markets  

Oleh:

Lemmon, Michael L. ; Bessembinder, Hendrik

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 57 no. 3 (2002), page 1347-1382.
Topik: equilibrium; studies; electricity; power marketers; derivatives; hedging; commodity prices
Fulltext: p 1347.pdf (894.0KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.6 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Spot power prices are volatile and since electricity cannot be economically stored, familiar arbitrage - based methods are not applicable for pricing power derivative contracts. This paper presents an equilibrium model implying that the forward power price is a downward biased predictor of the future spot price if expected power demand is low and demand risk is moderate. However, the equilibrium forward premium increases when either expected demand or demand variance is high, because of positive skewness in the spot power price distribution. Preliminary empirical evidence indicates that the premium in forward power prices is greatest during the summer months.

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